FINANCIAL INSTITUTIONSISSUER COMMENT 22 JULY 2015CITIGROUP INC. (C)Moodys Senior Unsecured Rating Baa1Moodys Outlook STABond-Implied Rating A3CDS-Implied Rating Baa2EDF-Implied Rating A2As of 7/21/2015ANALYST CONTACTSAllerton G. Smith 212-553-4058 Sr Dir-Sr Research Analyst allerton.smith@moodys.comABOUT CAPITAL MARKETS RESEARCHAnalyses from Moodys Capital Markets Research, Inc. (CMR) focus on explaining signals from the credit and equity markets. The publications address whether market signals, in the opinion of the groups analysts, accurately reflect the risks and investment opportunities associated with issuers and sectors. CMR research thus complements the fundamentally-oriented research offered by Moodys Investors Service (MIS), the rating agency.CMR is part of Moodys Analytics, which is one of the two operating businesses of Moodys Corporation. Moodys Analytics (including CMR) is legally and organizationally separated from Moodys Investors Service and operates on an arms length basis from the ratings business. CMR does not provide investment advisory services or products.View the CMR FAQ Contact the CMR team Follow us on TwitterMoodys Analytics markets and distributes all Moodys Capital Markets Research, Inc. materials. Moodys Capital Markets Research, Inc. is a subsidiary of Moodys Corporation. Moodys Analytics does not provide investment advisory services or products. For further detail, please see the last page.This report has been republished on 1 July 2015 with the correction to Outlook in the ratings box from POS to STA.Market Signals ReviewCitigroup Inc.: Two Market-Implied Ratings Rally Citigroups bond- and EDF'-implied ratings both progressed over the last 90 days, while the CDS-implied rating remained at Baa2 (and in fact has been at Baa2 since January 29).The EDF-implied rating was A3 three months ago and moved up by one notch to A2 (Figure 1). It has made a significant recovery from the B1 level observed in October of 2011. The bond-implied rating has fluctuated in a range between Ba2 and A3 over the last three months and the last 12 months. It presently stands at A3. Citis stable CDS-implied rating of Baa2 is a dramatic improvement from the low point of Ba2 observed in May 2010.FIGURE 1. CITIGROUP, INC.: MOODYS AND MARKET-IMPLIED RATINGS - LAST 90 DAYS (DAILY OBSERVATIONS)MOODY'S ANALYTICS FINANCIAL INSTITUTIONS2 22 JULY 2015 MARKET SIGNALS REVIEW : CITIGROUP INC.: TWO MARKET-IMPLIED RATINGS RALLYCitigroups five-year CDS mid-spread of 77 bp compares to such peers as Wells Fargo (52 bp), JP Morgan Chase (69 bp), BankAmerica (69 bp), Morgan Stanley (78 bp), and Goldman Sachs (86 bp).Three months ago Citis CDS-implied ratings gap was zero notches, it has now slipped to -1 notch (Figure 2). The EDF-implied ratings gap of +2 notches matches its observation 90 days ago. The bond-implied ratings gap was zero notches on April 21, and has improved to the +1 notch level at presen...
